Live in NYC, work remotely from NYC, but my company says I'm an MA employee (and won't issue a correction letter)

I live and work from NYC, but my company says I'm an MA employee. And I want to ensure I get my MA tax withholdings back.

 

I know I can file a non-resident state tax return for MA. But what do I do if my employer won't issue a letter saying they withheld taxes for the wrong state? (I believe MA requires this). Is there different supporting documentation I can provide (like an NYC apartment lease)? Thanks everyone!

 

TL;DR - What to do if working out of NYC. Company says I'm an MA employee. And they won't issue a letter saying they withheld taxes for the wrong state.